Weekend Trader

Friday, February 2, 2018

Feb. 2, 2018 Momentum Ranks

Below are the Momentum Ranks EOD Feb. 2, 2018. I also uploaded the excel form of it into my google drive. You can access it HERE.

All Shares					Index Stocks
Ticker	Date/Time	Price	ATR	Rank	Ticker	Date/Time	Price	ATR	Rank
ECP	2/2/2018	49.4	8.3389	1	SMC	2/2/2018	152	3.473	1
IDC	2/2/2018	8.07	0.7521	2	LTG	2/2/2018	23.15	0.802	2
GSMI	2/2/2018	30	1.5096	3	MER	2/2/2018	336.2	5.369	3
TUGS	2/2/2018	5.37	0.3117	4	SM	2/2/2018	1030	30.63	4
PF	2/2/2018	630	18.4064	5	BPI	2/2/2018	120	2.909	5
HVN	2/2/2018	173	11.552	6	GTCAP	2/2/2018	1350	34.07	6
MJC	2/2/2018	4.89	0.3985	7	JFC	2/2/2018	294	5.269	7
ALHI	2/2/2018	15.5	1.7564	8	URC	2/2/2018	162.2	3.82	8
TBGI	2/2/2018	0.6	0.0636	9	ICT	2/2/2018	110	2.733	9
NOW	2/2/2018	5.64	0.412	10	ALI	2/2/2018	45.85	0.962	10
STR	2/2/2018	19.1	2.6951	11	AC	2/2/2018	1050	23.98	11
SMC	2/2/2018	152	3.4729	12	JGS	2/2/2018	77.4	2.185	12
MAC	2/2/2018	23.65	1.0774	13	PGOLD	2/2/2018	53	1.024	13
NRCP	2/2/2018	1.5	0.1251	14	RRHI	2/2/2018	96.9	2.661	14
HOUSE	2/2/2018	6.18	0.1656	15	AEV	2/2/2018	75.3	2.073	15
LTG	2/2/2018	23.15	0.8019	16	AP	2/2/2018	41	0.726	16
TECH	2/2/2018	51	2.3845	17	DMC	2/2/2018	14.56	0.33	17
ATNB	2/2/2018	0.57	0.0416	18	PCOR	2/2/2018	9.8	0.185	18
DNL	2/2/2018	11.82	0.2795	19	TEL	2/2/2018	1558	41.6	19
MER	2/2/2018	336.2	5.3687	20	GLO	2/2/2018	1899	47.81	20
SM	2/2/2018	1030	30.6332	21	SCC	2/2/2018	37.9	0.98	21
BPI	2/2/2018	120	2.9087	22
MWIDE	2/2/2018	21.5	0.5608	23
^FINANCIAL	2/2/2018	2223.55	27.2051	24
TFC	2/2/2018	37	4.705	25
GTCAP	2/2/2018	1350	34.068	26
EMP	2/2/2018	8.06	0.2306	27
CHI	2/2/2018	5.89	0.1122	28
BLOOM	2/2/2018	12.1	0.4279	29
JFC	2/2/2018	294	5.2692	30
ATN	2/2/2018	0.55	0.036	31
PIZZA	2/2/2018	15.44	0.4224	32
ANI	2/2/2018	12.8	0.3949	33
CHIB	2/2/2018	36.15	0.3493	34
SLF	2/2/2018	1995	22.5794	35
^PSEi	2/2/2018	8810.75	110.451	36
URC	2/2/2018	162.2	3.8199	37
MRP	2/2/2018	8.87	0.3332	38
^HOLDING	2/2/2018	9007.76	150.3424	39
FMETF	2/2/2018	134	1.3139	40
ICT	2/2/2018	110	2.7328	41
DWC	2/2/2018	2.76	0.2481	42
ISM	2/2/2018	1.63	0.0917	43
RFM	2/2/2018	4.95	0.0631	44
IPO	2/2/2018	13.28	0.5605	45
^ALLSHARES	2/2/2018	5181.82	49.7946	46
^INDUSTRIAL	2/2/2018	11891.59	118.9783	47
PNX	2/2/2018	12.7	0.4771	48
JOH	2/2/2018	5.36	0.3277	49
UBP	2/2/2018	91	1.0554	50
POPI	2/2/2018	2.64	0.1096	51
ALCPB	2/2/2018	109	0.3311	52
FFI	2/2/2018	12.1	0.713	53
^PROPERTY	2/2/2018	3993.89	60.1584	54
ALI	2/2/2018	45.85	0.9616	55
PXP	2/2/2018	9.13	0.5286	56
AC	2/2/2018	1050	23.9759	57
JAS	2/2/2018	3.36	0.1564	58
SHNG	2/2/2018	3.26	0.0347	59
CPM	2/2/2018	1.62	0.0346	60
WLCON	2/2/2018	9.62	0.2731	61
PBB	2/2/2018	13.4	0.3144	62
PSE	2/2/2018	246	2.8922	63
ACPB2	2/2/2018	527	5.3812	64
CIP	2/2/2018	189	9.8987	65
DFNN	2/2/2018	8.7	0.4822	66
AEV	2/2/2018	75.3	2.0733	67
ANS	2/2/2018	7.05	0.0845	68
VLL	2/2/2018	6.7	0.2438	69
PBC	2/2/2018	25.95	0.3661	70
AT	2/2/2018	5	0.0968	71
MVC	2/2/2018	3.29	0.1372	72
JGS	2/2/2018	77.4	2.1848	73
MFIN	2/2/2018	3.06	0.1243	74
CEI	2/2/2018	0.25	0.0075	75
SMC2C	2/2/2018	81	0.5839	76
APL	2/2/2018	0.05	0.0023	77
2GO	2/2/2018	19.6	1.0724	78
PRC	2/2/2018	9.35	0.459	79
PGOLD	2/2/2018	53	1.024	80
RRHI	2/2/2018	96.9	2.6611	81
GMAP	2/2/2018	5.78	0.1005	82
CSB	2/2/2018	9.99	0.3559	83
LR	2/2/2018	4.14	0.167	84
EDC	2/2/2018	5.68	0.0818	85
IMI	2/2/2018	21.2	0.6865	86
PHEN	2/2/2018	1.66	0.0465	87
SLI	2/2/2018	1.04	0.0203	88
LBC	2/2/2018	15.5	0.4269	89
SMC2F	2/2/2018	81	0.7348	90
SUN	2/2/2018	0.86	0.0323	91
AP	2/2/2018	41	0.7264	92
BSC	2/2/2018	0.23	0.0074	93
PNB	2/2/2018	57.7	1.0282	94
GMA7	2/2/2018	5.9	0.0578	95
IMP	2/2/2018	2.85	0.1893	96
COL	2/2/2018	15.6	0.219	97
PRIM	2/2/2018	1.25	0.1031	98
DD	2/2/2018	39.5	1.0036	99
^SERVICE	2/2/2018	1718.11	23.0915	100
PAX	2/2/2018	3.02	0.1332	101
EEI	2/2/2018	12.36	0.3613	102
VITA	2/2/2018	2.07	0.0669	103
BMM	2/2/2018	122	10.2097	104
PTC	2/2/2018	104.1	4.4832	105
NIKL	2/2/2018	6.89	0.2268	106
SBS	2/2/2018	6.39	0.2219	107
LPZ	2/2/2018	5.69	0.1411	108
ELI	2/2/2018	0.66	0.0217	109
FPH	2/2/2018	63.05	0.8738	110
MBC	2/2/2018	18.42	1.2467	111
CYBR	2/2/2018	0.46	0.0151	112
FLI	2/2/2018	1.87	0.0392	113
DNA	2/2/2018	4.02	0.3448	114
PHA	2/2/2018	0.37	0.0149	115
VUL	2/2/2018	0.84	0.0276	116
LMG	2/2/2018	4.2	0.151	117
ABG	2/2/2018	19.2	0.9829	118
DMC	2/2/2018	14.56	0.3302	119
MAXS	2/2/2018	18.18	0.2578	120
PIP	2/2/2018	2.89	0.0961	121
CEB	2/2/2018	100.9	1.3108	122
PCOR	2/2/2018	9.8	0.1854	123
ORE	2/2/2018	0.92	0.0271	124
TEL	2/2/2018	1558	41.597	125
CLC	2/2/2018	9.16	0.262	126
PPG	2/2/2018	2.16	0.0876	127
IRC	2/2/2018	0.79	0.0343	128
IS	2/2/2018	0.15	0.0047	129
DAVIN	2/2/2018	5.55	0.1535	130
AR	2/2/2018	0	0.0001	131
UNI	2/2/2018	0.25	0.0146	132
GLO	2/2/2018	1899	47.8054	133
^MINING-OIL	2/2/2018	12083.05	241.8464	134
SCC	2/2/2018	37.9	0.9801	135
PX	2/2/2018	6.94	0.2432	136
LIHC	2/2/2018	0.74	0.0311	137
LCB	2/2/2018	0.16	0.0031	138
AGF	2/2/2018	3.51	0.248	139

Thursday, February 1, 2018

Feb. 1 Momentum Ranks and Day 1 of Implementation of the Portfolio

I created an investagrams account to be able to use their virtual portfolio because they include the commission charges and all other transactional fees. If this is the first time you are reading about this momentum rotation strategy, kindly read this first post about it.

Before I give you today's momentum rank I wanted to show you the results of our 1st day.
Here's the momentum rank from yesterday:

I have a template already made (let me know if you want a copy) that helps me determine the number of shares I need to buy for my position sizing. It looks like this:

After buying from the top (except for those whose ATR sizes do not fit into minimum boardlots) all the way down until my 100k virtual capital ran out, here are day 1's results. Please keep in mind the following:

NO THOUGHT WAS GIVEN TO ENTRY PRICE. I just bought right away at the market open.
Aside from checking whether the Index was above SMA 200 or not, I did not check the charts of the stocks I bought.

Here were the stocks after buying this morning:

And here it is after End-Of-Day Feb. 1, 2018.

So the next time I'll post an update about this virtual port will be next Thursday, since we will only be checking the port once a week and see if any of our holdings have been removed from the momentum ranks.

As promised, here are the Momentum Ranks for End-Of-Day Feb. 1, 2018.

Caveat and God bless!

Wednesday, January 31, 2018

How to implement a Systematic Portfolio Trading Strategy thru Momentum

Majority of the traders I see on Facebook and FB groups are discretionary. I am not saying that they are bad when in fact some of them became millionaires by doing what they do. I've wanted to be like them, however, my day job simply doesn't allow me to be in front of the computer 90% of the time because my work is in the field. Also, having gotten married last year, my responsibilities and need for a steady income doesn't allow me the luxury of being a trader.

Although my portfolio did not suffer, since I practiced trail stops and cut loss, I wasn't able to enter into price levels that I wanted to, nor be able to catch breakouts at optimum price levels. I needed a system that would allow me to trade once a week and still be able to match or have a larger probability of beating the market...

I began my search for a trading system that allowed me to do the following:

Execute trades once a week. With the increase in tax for transactions in the PSE, I didn't want to dance in and out of stocks a lot.
Since I'm not able to enter breakouts at optimum price levels, I want the system to be forgiving in such that price entry becomes a minimal factor, if none at all.
I want to buy stocks that have great momentum and be able to find the next multi-bagger stocks such as MAC (+630%) or IMI (+302%).
I do not want stocks that are too volatile. The higher the volatility, the less shares I will buy.
I wanted a rigid-set schedule for my "PSE Trading/ Investing" time.
I wanted to make money.

My search led me to systematic trading strategies wherein Quantitative Analysis is used. I didn't have time to read financial statements nor have the patience for it. Trying to make buddy-buddy with "gurus" that had insider info was a waste of time since most of their secret info turned out to be duds, and focusing on price yielded similar results anyway.

I needed a system based on cold hard numbers, and I believe I have found that. The system is linear regression-based to calculate and rank the momentum of stocks. The higher the momentum, the higher its priority to buy.

The caveat here is that top ranked stocks might be nearing their peak. This is why we will trade and examine results through the entire portfolio and not individual stocks. If one stock is down, the gainers of the portfolio carry the slack, and until the system tells us to sell the laggard, it still has a 70% probability of rebounding and continuing its uptrend.

Getting to the point, this is what the ranking looks like:

You have your choice of how to allocate your portfolio if you want only blue chips, All Shares, or a mix of the 2. If you go for the mix, you can allocate half your capital to blue chips, and the 2nd half to the All Shares list.

I went with All Shares.

The rules are as follows:

1.) Pick a day on when you want to perform your transactions. I chose Monday so I can do my position sizing (more on this in no. 4) on Sunday.

2.) Check if the PSE Index is above Simple Moving Average 200. This is how we stay out of downtrends and stay in uptrends. If the PSEi is below SMA 200, NO BUYING!

3.) Buy from the top of the list until you run out of capital.

4.) Volatility affects the position. The higher a stock's volatility, the less we buy of it. That's how we will size our positions, by using the Average True Range (ATR) on a 20 period setting. The number of shares you buy will be as follows:

Number of shares = (Capital * Risk Factor) / ATR
Where Risk Factor:

0.001 = Low Risk Appetite
0.002 = Moderately Low Risk Appetite
0.003 = Moderate Risk Appetite
0.004 = High Risk Appetite
0.005 = Very High Risk Appetite

Example: I want my risk factor to be 0.002. My capital is 100,000. So the number of ECP shares I should buy is: (100,000 * 0.002) / 8.4765 = 23.59 shares. ECP's price is Php 46.8 so minimum boardlot is 100. Since the boardlot is greater than the recommended ATR shares, I move to the next stock, GSMI. GSMI shares = (100,000 * 0.002) / 1.5722 = 127.21 shares. Boardlot for GSMI is 100, so I buy 100 GSMI shares.
Choose only ONE risk factor for the ENTIRE portfolio. Otherwise, you will be burdened by trying to remember the different risk factors you used on different stocks.

5.) Sell if the stock is no longer in the list.

6.) Sell if the stock goes below Simple Moving Average 100 (SMA100). This would usually mean removal of the stock from the list since stocks below the SMA 100 have lost their momentum. The SMA 100 is also one of our determining parameters for the system. You can change this to SMA 50 if you want tighter stops.

7.) If the Index moves below SMA 200, we stop buying and wait until the stocks in our portfolio are stopped out.

8.) We follow a hard stop loss of 10%. If a position goes -10% or more, we sell it no matter what.

And there you have it. A nice and tidy systematic portfolio trading system based on momentum. I will set up a virtual account in investagrams with an initial capital of 50,000. I will post the results of the system here as well as the buy and sell transactions performed.

I'll also be posting the momentum ranks once a week, so be sure to check in every now and then.

Also, I will be making a new post about how to go implementing a momentum rank portfolio system for yourself in a new post.

Feel free to post a question below and add me in Facebook or Twitter. I also put up a Facebook Group should you have any questions.

Implementing the system can be found in this post: https://goo.gl/aAWFis

Caveat and God Bless!